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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen

Author

Listed:
  • Hamerle, Alfred
  • Knapp, Michael
  • Wildenauer, Nicole

Abstract

Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei us-amerikanischen Sektoren untersucht. Zum einen wird das Segment Industrieunternehmen und zum anderen das Retailsegment Kreditkarten betrachtet. Es wird gezeigt, wie unter Verwendung eines dynamischen Modells die Schuldnerbonität bzw. die Ausfallwahrscheinlichkeit unter Einbeziehung schuldnerspezifischer und makroökonomischer Faktoren geschätzt werden kann. Es stellt sich heraus, dass durch die Einbeziehung vor allem makroökonomischer Größen die Ausfallwahrscheinlichkeit Point in Time prognostiziert und sowohl die Assetkorrelation innerhalb eines Sektors bzw. Risikosegments als auch die intersektorale Korrelation verringert werden können. Dies führt im Allgemeinen zu präziseren Prognosen der Verlustverteilungen. In this paper we focus on the analysis of the effect of the asset correlation between two segments, its basic calculation and its impacts on the risk measures of loss distributions. For an empirical study we examine default histories of two American segments. One is the sector industry and the other is the (retail) segment credit cards. We show how the borrowers creditworthiness and the probability of default can be estimated using issuer-specific and macroeconomic variables in a dynamic approach. Using macroeconomic variables the probability of default can be predicted point in time. The asset correlation within a sector as well as the asset correlation between sectors can be reduced leading to a more precise prediction of loss distributions.

Suggested Citation

  • Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," University of Regensburg Working Papers in Business, Economics and Management Information Systems 409, University of Regensburg, Department of Economics.
  • Handle: RePEc:bay:rdwiwi:582
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    File URL: https://epub.uni-regensburg.de/4523/1/Auswirkungen.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Ausfallwahrscheinlichkeit ; Kreditrisiko; Probability of Default ; PD ; Assetkorrelation ; Ausfallkorrelation ; Kreditrisikomanagement; Probability of Default ; asset correlation ; default correlation ; credit risk ; credit risk management;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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